Towards Long-Term Time-Series Forecasting: Feature, Pattern, and Distribution

Yan Li, Xinjiang Lu, Haoyi Xiong, Jian Tang, Jiantao Su, Bo Jin, Dejing Dou

Abstract: Long-term time-series forecasting (LTTF) has become a pressing demand in many applications, such as wind power supply planning. Transformer models have been adopted to deliver high prediction capacity because of the high computational self-attention mechanism. Though one could lower the complexity of Transformers by inducing the sparsity in point-wise self-attentions for LTTF, the limited information utilization prohibits the model from exploring the complex dependencies comprehensively. To this end, we propose an efficient Transformer-based model, named Conformer, which differentiates itself from existing methods for LTTF in three aspects: (i) an encoder-decoder architecture incorporating a linear complexity without sacrificing information utilization is proposed on top of sliding-window attention and Stationary and Instant Recurrent Network (SIRN); (ii) a module derived from the normalizing flow is devised to further improve the information utilization by inferring the outputs with the latent variables in SIRN directly; (iii) the inter-series correlation and temporal dynamics in time-series data are modeled explicitly to fuel the downstream self-attention mechanism. Extensive experiments on seven real-world datasets demonstrate that Conformer outperforms the state-of-the-art methods on LTTF and generates reliable prediction results with uncertainty quantification.